Preheat the oven to 220°C (425°F/Gas 7). Lightly grease two baking trays. Combine the egg with the olives, ham and cheddar in a bowl.
Cut the puff pastry sheets into 10cm (4inch) rounds (about five rounds from each sheet). Spoon a tablespoon of the egg mixture into the centre of each round, fold over the pastry to enclose the filling and crimp the edges to seal.
Place the pastries on the trays 2cm (¾inch) apart. Brush the tops with egg yolk and bake for 15 minutes, or until brown and puffed. Swap the trays around after 10 minutes. Cover loosely with foil if browning too much. Serve hot.